Value at risk: related pages

A mathematical construct that can range from a simple formula (such as PE) to complex computer programs that may take days to run.

A statistical measure of the risk of holding a security; the standard deviation of expected returns on a security.

The level of volatility which the market implicitly expects given the current market price of a security.

The theory concerning the value and riskiness of portfolios as opposed to individual securities.

An event that is highly improbable (and unforeseen and therefore omitted from models) that nonetheless occurs and has a significant impact.

The risk that a model may produce incorrect results.

The application of sophisticated maths to finance.